IB + Ninja (Pacing Violation)

[Harry]

Bug loading daily data with merge policy MergeBackAdjusted

Yesterday tried to download data for HG for my workspace. The workspace has intraday and daily data for 175 days in line what Kinetick - the data provider - is offering.

What followed were about 20 error messages popping up. Checked the tracefile and found out that NT 7.0.0.17 was requesting daily data for all contract months from 2005 to 2008 without any reason.

I also use IB for loading historical data. Same behaviour.

So the erroneous triggering of daily data loading is caused by NinjaTrader independently from the data feed. However, with IB this causes pacing violations and I have often been completely locked up, needing to restart NinjaTrader.

Problem is that MergeBackAdjusted causes loading of contracts years back for daily data. It is just a bug.

[NinjaTrader_Bertrand]

Thanks Harry as noted in your separate thread on this in the beta forums, we'll check into this shortly.

[TraderSU]

I tried fresh install but it did not trigger the loading of 2005 contracts. But then I tried to add ES on right scale of panel 1 and NQ on left side of same panel.... Bingo! NQ went nuts and started to bombard TWS...

May be it triggers only when FUTs are not the primary data series. Did not try more combinations... Maybe it will help.

[TraderSU]

I tried fresh install but it did not trigger the loading of 2005 contracts. But then I tried to add ES on right scale of panel 1 and NQ on left side of same panel.... Bingo! NQ went nuts and started to bombard TWS...

May be it triggers only when FUTs are not the primary data series. Did not try more combinations... Maybe it will help.

If you are not using continuous contract (MergeBackAdjusted) then you can even load one whole ES contract at one time. I just tried and it is working fine if I wait 10+ minutes between requests.

EXP | START DT | END DT
09-09 | 06-11-09 | 09-09-09
12-09 | 09-10-09 | 12-09-09
03-10 | 12-10-09 | 03-10-10
06-10 | 03-11-10 | 06-09-10
09-10 | 06-10-10 | 09-08-10

Is there a scripting feature inside NT7? Something like OpenQuant has?

[NinjaTrader_JoshP]

TraderSU,

I am not sure what you are referring to for scripting wise. Please clarify. Please also be sure you are using NT7B17.

holgeramort,

Whether you run into pacing or not is solely dependent on your data requests you are trying to push though. NT does not restrict data you request and if you request something fast enough to actually hit IB pacing you will get such a message.

[TraderSU]

Script can be used to automate few things which you have to do manually otherwise. For example, the loading of historical data could be scripted easily inside OpenQuant and needs no AHK hack. I can do this for ES only but what about bigger set?

Say, I have to pull last 6 months intra-day data for all SP500 (or Dow30) companies. How do I do that in NT7 using IB without causing a pacing violation.

I pasted the sample which is very self-explanatory if you have exposure to OpenQuant.

using System;
using System.IO;
using System.Drawing;

using OpenQuant.API;
using OpenQuant.API.Indicators;

public class MyScript : Script
{
	public override void Run()
	{
		string[] symbols = new string[] {"SPY", "QQQQ", "IWM"};
		
		foreach (string symbol in symbols)
			new Instrument(InstrumentType.Stock, symbol);
	}
}

[NinjaTrader_JoshP]

TraderSU,

There is no NinjaScript function for pulling data at certain points in time. You can either load all your data at once for NinjaScript or not at all. To do such a data request you can use the Add() method in Initialize().

[holgeramort]

Pacing Violation

NinjaTrader_Josh,

I tried to pull 1 year of 5 secs data and this wouldn't work.
I assume the proper route is to pull the data outside NT and then import them as tick data. Would be nice though to do this within NT.

Something unrelated: Is it possible to submit Market on Open and Marke on Close orders? These are IB order types.

Holger

[NinjaTrader_Bertrand]

Hi Holger, unfortunately those order types are not supported.

You could download the needed 5 sec data for one year in chunks - if you run into a violation just disconnect, wait for the data status to change (5-10 mins) and then reconnect and download another portion of the data.